ERN: Financial Crises (Monetary) (Topic)最新文献

{"title":"Input Price Controls As a Means to Reduce Bankruptcies in the Corona Crisis","authors":"Tsjalle van der Burg","doi":"10.2139/ssrn.3595071","DOIUrl":"https://doi.org/10.2139/ssrn.3595071","url":null,"abstract":"The public health measures taken to combat the corona virus are having a direct negative effect on a number of industries. To help avoid bankruptcies and rescue aid from the government, it is useful to shift part of the direct costs of the public health measures from the companies that sell the final goods to the suppliers of their inputs. This could be realized by emergency laws to strongly reduce certain input prices, such as pub rents, football player wages, and airplane lease prices.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121616798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The GRACE Act: One Way to Flatten the Curve of the Financial Pandemic","authors":"James Angel","doi":"10.2139/ssrn.3585385","DOIUrl":"https://doi.org/10.2139/ssrn.3585385","url":null,"abstract":"The pandemic-induced shutdowns are leading to a financial pandemic. When the unemployed worker or small business can’t pay the rent, then the landlord can’t pay the mortgage. Even when a creditor provides forbearance on a loan, the borrower’s credit is damaged for years. What is needed is a way to stop the chain reaction and give everyone enough breathing room to recover without costing the taxpayer trillions of dollars. \u0000 \u0000The GRACE (General Recovery and Credit Extension) Act would provide renters and borrowers an automatic ability to defer rent, credit card, and installment debt payments for six months. They would still have to pay the money back later, with affordable monthly payments stretched over a long-enough period to reduce the pain. \u0000 \u0000Payment deferral without any other action would create cash flow difficulties for the creditors. To alleviate the problem, the creditors would be able to use the receivables created by the deferred payments as collateral for immediate loans from any bank for the full amount of the expected deferrals. The loans would be non-recourse loans backed by the U.S. government. \u0000 \u0000Banks may be skittish about expanding their lending because of concerns about complying with bank capital standards. To incentivize banks to make such loans, they would carry a zero-risk weight for purposes of calculating Risk-Weighted Assets (RWA) and the total leverage ratio, and they would be counted as High Quality Liquid Assets (HQLA). \u0000 \u0000In order to avoid long-term damage to a borrower’s credit, the GRACE Act would require that the deferred payments be reported as current on credit reports, and that lenders would not be permitted to deny credit based on a borrower’s use of the deferrals. \u0000 \u0000The process resembles a pre-packaged Chapter 11: The borrower seeking deferment fills out an online form listing the payments to be deferred with contact information for the creditors. The creditors then receive a notification (either electronically or in writing). The notification can be used immediately as collateral for a loan from any lender. \u0000 \u0000The GRACE Act is designed to give much-needed breathing room to our workers and businesses. It is not designed to keep zombie businesses alive or rescue those who were already bankrupt before the pandemic. Accordingly, the deferrals should be restricted to payments that were on-time as of February 1, 2020. This will limit credit losses to the federal government. To avoid the negative publicity of bailouts for billionaires, there should be a limit on the total payments any one person or business can defer. \u0000 \u0000The GRACE Act is a WIN-WIN-WIN-WIN for borrowers, creditors, taxpayers, and the US economy. It will simplify the resolution of the wave of defaults that threatens to paralyze the economy for years to come. It will flatten the curve of the financial pandemic and prevent millions unnecessary evictions and bankruptcies. However, the GRACE Act is not a panacea that will cure all of the economic fallou","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129829740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand in Auctions","authors":"Sven Klingler, S. Sundaresan","doi":"10.2139/ssrn.3556502","DOIUrl":"https://doi.org/10.2139/ssrn.3556502","url":null,"abstract":"After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Moreover, increases in market uncertainty (measured by VIX), increase Treasury yields instead of triggering flights to safety. We show that the falling excess demand of primary dealers in Treasury auctions and their increased balance sheet constraints post-2015, are the key variables in explaining these patterns. Even after accounting for Treasury supply, levels of interest rates, and other controls, primary dealers' excess demand and balance sheet constraints are the main drivers of Treasury yields and spreads.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128246975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Foreign Exchange Interventions Under a One-Sided Target Zone Regime and the Swiss Franc","authors":"Markus Hertrich","doi":"10.2139/ssrn.3549807","DOIUrl":"https://doi.org/10.2139/ssrn.3549807","url":null,"abstract":"From September 2011 to January 2015, the Swiss National Bank (SNB) implemented a minimum exchange rate regime (i.e. a one-sided target zone) vis-a-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis. During this period of unconventional monetary policy, the SNB faced mounting criticism from the media and the public on the sizable balance sheet risks that it was incurring. Motivated by this episode, I present a structural model embedded within the target zone framework developed by Krugman (1991) that allows monetary authorities to determine ex-ante the maximum size of foreign exchange market interventions that are expected to be necessary to implement and maintain a one-sided target zone. An empirical application of the proposed model to the aforementioned episode reveals that it is well suited to explain the actual size of these interventions and that, in January 2015, the SNB's euro purchases might indeed have been large without the abandonment of the minimum exchange rate regime, which is consistent with the official statements of the SNB in the aftermath of that episode.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128523975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Primer on the Financial Crisis in Lebanon: A Historical and Cross-Country Perspective","authors":"Nada Mora","doi":"10.2139/ssrn.3527443","DOIUrl":"https://doi.org/10.2139/ssrn.3527443","url":null,"abstract":"The current financial crisis affecting all sectors of the Lebanese economy became visible in a dollar liquidity shortage in the summer of 2019 that has since become acute with a political crisis since 17 October 2019. However, while the crystallization of the crisis is recent, the fragile funding scheme of the economy has developed over a long period of time. In common with previous countries and crises, the balance sheets of each of the government, the banking system, the central bank and the private sector are overextended and mismatched — currency and maturity mismatch. Also in common with many previous crises, a fixed exchange rate regime is vulnerable to speculative attack, especially in light of the overvaluation of the real exchange rate that has developed over more than a decade. What is unique to the Lebanon case is that the balance sheets of all 4 sectors of the economy are so exposed to each other through claims and cross-claims. Other countries relied on foreign investors for funding (such as dispersed foreign banks) and were therefore prone to volatile inflows and reversals. In contrast, dedicated non-volatile depositors supported most of Lebanon’s funding for many years until their sudden stop. In this sense, Lebanon has been a victim of its own luck in having a dedicated resident, expatriate, and regional depositor base. This: i) allowed the debt and the imbalances in the balance sheets to build up even further than in previous crises and ii) now complicates the recovery. It complicates the recovery because a sudden stop in the source domestic depositor funding has quickly spread through all balance sheets, contributing to the systemic liquidity freeze and now causing second-round adverse feedback loops to the economy. There is no easy solution. But to arrest this downward spiral, I propose that a key first step in any effective policy response is to separate the government debt problem from the liquidity problem affecting the banking system and real economy. Borrowing from the lessons of the global financial crisis successfully applied by the Federal Reserve and the European Central Bank, external liquidity support (such as collateralized dollar credit lines) should be targeted directly to the banking system to restore depositor confidence and unfreeze the economy. Then the government debt problem, via restructuring and reform should be addressed separately in a democratic political process with citizen (meaning depositor) agreement.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126041492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"La eficiencia bancaria durante la crisis financiera en la Unión Europea (Bank Efficiency during the Financial Crisis in the European Union)","authors":"Adrián Ferreras, M. Tascón, Paula Castro","doi":"10.2139/ssrn.3516947","DOIUrl":"https://doi.org/10.2139/ssrn.3516947","url":null,"abstract":"<b>Spanish Abstract:</b> Durante los últimos años, los bancos europeos se han enfrentado a una crisis financiera y a importantes cambios regulatorios que, en muchos casos, han puesto en peligro su viabilidad. En dicho contexto, resulta de interés evaluar el desempeño de estos bancos a través de su eficiencia. Este trabajo analiza la evolución de la eficiencia técnica de las entidades financieras de los 28 países de la Unión Europea entre 2005 y 2013, así como sus factores determinantes y la existencia de convergencia en las puntuaciones de eficiencia estimadas. Para ello, se emplea el Análisis Envolvente de Datos (DEA) y se estiman una serie de regresiones por Mínimos Cuadrados Ordinarios (MCO). Los resultados indican que la crisis redujo en gran medida la eficiencia de la banca europea, aunque esta se recuperó con relativa rapidez. Así mismo, los resultados sugieren que durante la crisis las entidades habrían sacrificado parte de su eficiencia para mantener sus niveles de capitalización, aunque estos resultados varían entre los países de Europa Occidental y Oriental. Por último, se constata la existencia de convergencia en la eficiencia de las entidades europeas.<br><br><b>English Abstract:</b> During the last years, European banks have faced a financial crisis and subsequent relevant regulatory changes that, in many cases, have challenged their viability. In that setting, it is worth assessing the banks’ performance through their efficiency. This work analyzes the evolution of the technical efficiency of financial firms in the 28 countries of the European Union between 2005 and 2013, as well as some efficiency drivers and the convergence pattern of the efficiency scores obtained in the period. Using Data Envelopment Analysis (DEA) and Ordinary Least Squares (OLS), the results indicate that the crisis negatively affected the European bank efficiency to a great extent, although its efficiency recovered relatively quickly. In addition, the results suggest that during the crisis some efficiency seems to be sacrificed and traded off to maintain previous capitalization levels, with different incidence on Eastern and Western European countries. Finally, we evidence a convergence pattern in the European banking efficiency.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122438153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Executive Board Gender Diversity on Risk-Taking in Canadian and US Banks","authors":"S. Gottschalk","doi":"10.2139/ssrn.3485543","DOIUrl":"https://doi.org/10.2139/ssrn.3485543","url":null,"abstract":"This paper examines the issue of board diversity and the role of women in the finance industry. Estimation of panel data regressions for a sample of all financial institutions in Canada and the US over the period 2008-2019 identified some qualitative and quantitative factors that allowed the Canadian banking system to withstand the 2008 financial crisis better than US financial institutions. We found that in Canadian banks risk-taking executive behaviour was moderated by gender diversity but no overall impact of gender diversity on financial risk-taking is evidenced in the US. Moreover, sub-sectoral analysis in the US shows that a higher relative number of women on executive boards actually increases risk-taking in investment banking, but not in commercial banking. Nonetheless, in investment management a higher female to male ratio on US executive boards tends to reduce leverage. There are no differences in the impact of number of female board members on Canadian investment banks relative to the overall financial services sector. Our analysis suggests that risk attitudes of female financial executives in the US financial industry is much more heterogeneous than in Canada, or in the general female population of both countries.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122330514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The CDS-Bond Basis: Negativity Persistence and Limits to Arbitrage","authors":"Sahar Guesmi, R. Ben-abdallah, M. Breton, G. Dionne","doi":"10.2139/ssrn.3481470","DOIUrl":"https://doi.org/10.2139/ssrn.3481470","url":null,"abstract":"We reinvestigate the CDS-bond basis negativity puzzle after the financial crisis. This puzzle is defined as the unexpected persistence of the dislocation between bond and derivative credit markets. We show that the first two moments of the basis are described by three distinct Markov regimes identified with periods related to the 2008 financial crisis. We observe that the post-crisis regime differs significantly from the crisis and the pre-crisis regimes. We then explore the cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we validate that the negative basis can be explained by liquidity risk in both the bond and CDS markets, together with counterparty risk, collateral quality, and funding constraints. Finally, we propose a model to empirically affirm that the basis negativity persistence during the post-crisis period is mainly related to a significant decrease in basis arbitrage activity, which is partly explained by the post-crisis regulatory reforms.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"42 51","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120811255","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Benchmark Interest Rates When the Government is Risky","authors":"Patrick Augustin, Mikhail Chernov, L. Schmid, Dongho Song","doi":"10.3386/w26429","DOIUrl":"https://doi.org/10.3386/w26429","url":null,"abstract":"Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of maturity matched swap rates, as they are deemed to have superior liquidity and to be safe, so this is a surprising development. We show, by no-arbitrage, that the U.S. sovereign default risk explains the negative swap spreads over Treasuries. This view is supported by a quantitative equilibrium model that jointly accounts for macroeconomic fundamentals and the term structures of interest and U.S. credit default swap rates. We account for interbank credit risk, liquidity effects, and cost of collateralization in the model. Thus, the sovereign risk explanation complements others based on frictions such as balance sheet constraints, convenience yield, and hedging demand.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"19 25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128949742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Global Financial Crisis and Regional Trade Agreements","authors":"C. Park","doi":"10.2139/ssrn.3465341","DOIUrl":"https://doi.org/10.2139/ssrn.3465341","url":null,"abstract":"This article argues that the global financial crisis has weakened institutional support for financial liberalization in regional trade agreements and increased transaction costs in the financial services sector. Due to the lack of cooperation among international economic organizations, regional trade agreements, such as the TPP and TTIP, are at odds with international financial policies such as Basel III. This article analyzes the design of regional trade agreements and finds shortcomings — a proliferation of micro-prudential carve-outs, an absence of a macro-prudential perspective, and a fragmentary FTA dispute settlement. I argue that these shortcomings erode not only trade liberalization, but also international regulatory cooperation in financial services. This article brings together issues in international trade and finance that have been examined separately and calls for cooperation among international economic organizations.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131236048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}